 Does it really pay off for investors to consider information from social media?Brigitte Eierle, Sebastian Klamer and Matthias Muck International Review of Financial Analysis, 2022, vol. 81, issue C Abstract: This paper raises the question whether investors can learn something from social media sentiment that they do not already know from (existing) financial information disclosed by companies and financial analysts. Therefore, the relationship between financial information and Refinitiv’s MarketPsych social media sentiment index is explored. The paper introduces adjusted social media sentiment, which corrects social media sentiment for the impact of financial information such as earnings surprises, analyst forecast revisions, new dividends, and 8-K filings. It turns out that adjusted social media sentiment is related to subsequent short-term stock returns. This is particularly true for stocks with negative (adjusted) sentiment. Moreover, looking at long-term holding returns the paper does not find compelling evidence for reversals suggesting that (adjusted) social media sentiment reflects information about the prospects of the firm. Keywords: Return predictability; Fundamental information; Wisdom of crowds; Investor sentiment; Social media (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000473 DOI: 10.1016/j.irfa.2022.102074 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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